The Advanced Course in Time Series Econometrics addresses modelling techniques for time series data when unit roots are present in the data. An overview of the technical characteristics of time-series data and the concept of non-stationarity is provided; and the econometric techniques of cointegration and error correction modelling are revised in single equations (residual-based cointegration), with emphasis on their empirical application. The main focus of the course is however on the theory and application of multivariate cointegration. The course concludes with a discussion on the application of volatility models. The course takes place in a computer lab on the main campus of the University of Pretoria. Delegates use Eviews version 10 for practical applications.